Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function
underlying them. This paper addresses this issue by ...

This article examines the likelihood of high-sigma loss events, paying particular attention to the so-called 25-sigma events which a number of financial institutions have allegedly experienced in the recent financial ...

Cotter, John; Dowd, Kevin(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-10-31)

This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional
distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng,
and Nikkei225 futures contracts. It then uses the conditional ...

Spectral risk measures are attractive risk measures as they allow the user to obtain
risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility ...

This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the
extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng,
and Nikkei225 futures contracts. It then uses tail estimators ...

Cotter, John; Dowd, Kevin; Morgan, Wyn(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-10-06)

Risk is an inherent feature of agricultural production and marketing and accurate
measurement of it helps inform more efficient use of resources. This paper examines
three tail quantile-based risk measures applied to the ...

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It
explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...

Spectral risk measures are attractive risk measures as they allow the user to obtain
risk measures that reflect their risk-aversion functions. To date there has been
very little guidance on the choice of risk-aversion ...

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed ...